Step 1: You will need...

An air cutting or grinding tool. (A bench grinder will probably not work)

A Punch tool.

A hammer (Ball-peen works best)

Decorative paint (optional)

Step 2: Find your size

Put the chain around your neck and mark on it how long you wish for it to be.

Step 3: Cutting and rebuilding

You will notice on your chain intermittent metal circles, or pins.
Find where you marked earlier and shave off the surface of the pin with your air tool.
You will probably need a punch to get it out.
Do the same thing on the other end of the chain and put the two loose ends together.
Insert the pin and hammer the top end (with your ball-peen hammer) so that it flattens out over the opening as shown.

Step 4: Comfort

You may want to shave off some of the the pointy inner points before wearing, but I find it bearable not to do so.

Step 5: Cleaning

Your chain (unless it is new) will probably be covered in grease and oil. Brake cleaner and an old toothbrush should clean it up nicely.

Step 6: Painting (Optional)

Now you can paint the necklace any color you want to.
Or you can leave it in the rough.
I would reccomend painting it something such as silver or gold, though.
(I painted mine gold)